L² Optimization in Discrete FIR Estimation: Exploiting State-Space Structure
(2013) In SIAM Journal of Control and Optimization 51(1). p.419-441- Abstract
- This paper studies the L² (mean-square) optimal design of discrete-time FIR estimators. A solution procedure, which reduces the problem to a static matrix optimization problem admitting a closed-form solution, is proposed. In the latter solution, a special state-space structure of the associated matrices is exploited to obtain efficient formulae with the computational complexity proportional to the length of the impulse response of the estimator. Unlike previously available least-square FIR results, our treatment does not impose unnecessarily restrictive assumptions on the process dynamics and can handle interpolation constraints on the unit circle, which facilitates the inclusion of steady-state performance requirements.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/3469476
- author
- Levinson, Yaron and Mirkin, Leonid LU
- organization
- publishing date
- 2013
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- FIR estimation, L² optimization, state-space techniques
- in
- SIAM Journal of Control and Optimization
- volume
- 51
- issue
- 1
- pages
- 419 - 441
- publisher
- Society for Industrial and Applied Mathematics
- ISSN
- 1095-7138
- language
- English
- LU publication?
- yes
- id
- 32a1c37d-b831-4b77-be67-df0afe47adf5 (old id 3469476)
- date added to LUP
- 2016-04-01 11:14:27
- date last changed
- 2018-11-21 19:57:06
@article{32a1c37d-b831-4b77-be67-df0afe47adf5, abstract = {{This paper studies the L² (mean-square) optimal design of discrete-time FIR estimators. A solution procedure, which reduces the problem to a static matrix optimization problem admitting a closed-form solution, is proposed. In the latter solution, a special state-space structure of the associated matrices is exploited to obtain efficient formulae with the computational complexity proportional to the length of the impulse response of the estimator. Unlike previously available least-square FIR results, our treatment does not impose unnecessarily restrictive assumptions on the process dynamics and can handle interpolation constraints on the unit circle, which facilitates the inclusion of steady-state performance requirements.}}, author = {{Levinson, Yaron and Mirkin, Leonid}}, issn = {{1095-7138}}, keywords = {{FIR estimation; L² optimization; state-space techniques}}, language = {{eng}}, number = {{1}}, pages = {{419--441}}, publisher = {{Society for Industrial and Applied Mathematics}}, series = {{SIAM Journal of Control and Optimization}}, title = {{L² Optimization in Discrete FIR Estimation: Exploiting State-Space Structure}}, volume = {{51}}, year = {{2013}}, }